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Insurance claims modulated by a hidden Brownian marked point process

Elliott, Robert J.; Chen, Zhiping; Duan, Qihong - In: Insurance / Mathematics & economics 45 (2009) 2, pp. 163-172

Persistent link: https://www.econbiz.de/10009517585

Stochastic processes, finance and control : a Festschrift in honor of Robert J. Elliott

Cohen, Samuel N. (ed.); Madan, Dilip B. (ed.); … - 2012

This title consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering--

Persistent link: https://www.econbiz.de/10012658655

Optimal consumption and investment problems under GARCH with transaction costs

Chen, Zhiping; Yuen, K. C. - In: Mathematical methods of operations research 61 (2005) 2, pp. 219-237

Persistent link: https://www.econbiz.de/10002858605

Postoptimality for mean-risk stochastic mixed-integer programs and its application

Chen, Zhiping; Zhang, Feng; Li Yang - In: Mathematical methods of operations research 74 (2011) 3, pp. 445-465

Persistent link: https://www.econbiz.de/10009405059

Dynamic portfolio optimization under multi-factor model in stochastic markets

Chen, Zhiping; Song, Zhenxia - In: OR spectrum : quantitative approaches in management 34 (2012) 4, pp. 885-919

Persistent link: https://www.econbiz.de/10009631523

Stochastic geometric optimization with joint probabilistic constraints

Liu, Jia; Lisser, Abdel; Chen, Zhiping - In: Operations research letters 44 (2016) 5, pp. 687-691

Persistent link: https://www.econbiz.de/10011596645

Robust optimal reinsurance-investment strategy with price jumps and correlated claims

Chen, Zhiping; Yang, Peng - In: Insurance / Mathematics & economics 92 (2020), pp. 27-46

Persistent link: https://www.econbiz.de/10012242037

Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching

Chen, Zhiping; Wang, Liyuan; Chen, Ping; Yao, Haixiang - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-33

Persistent link: https://www.econbiz.de/10012153045

Quantitative stability of multistage stochastic programs via calm modifications

Jiang, Jie; Chen, Zhiping - In: Operations research letters 46 (2018) 5, pp. 543-547

Persistent link: https://www.econbiz.de/10011936703

Quantitative stability of mixed-integer two-stage quadratic stochastic programs

Chen, Zhiping; Han, Youpan - In: Mathematical methods of operations research 75 (2012) 2, pp. 149-163

Persistent link: https://www.econbiz.de/10009533448